He is the author of several works on uncertainty and volatility in financial markets, the interlinks between financial markets and business cycles, and financial market microstructure.[1]
Some of his work has led to real-time indicators of uncertainty in fixed income markets that are maintained by Chicago Board Options Exchange[2][3][4] and new instruments to hedge volatility of interest rates and credit spreads.[5][6][7]
His work focusses on problems related to uncertainty and volatility in financial markets and the interlinks with macroeconomic developments. Financial volatility measures the amplitude of asset price fluctuations, and tends to widen during periods of high uncertainty. His work aims at clarifying the origins of this volatility,[11][12] the interactions of financial market volatility with the business cycle,[12][13][14] and the design of new indicators of uncertainty in the large fixed income markets.[15]
During the second half of the 2000s, he elaborated one of the first equilibrium models of financial markets with asymmetric information in the presence of networks amongst agents.[16]
He is the author of a book of about 1,300 pages devoted to a synthesis of knowledge in Financial Economics.[17]
Contributions to the industry
Since the early 2010s, he has advised Chicago Board Options Exchange (CBOE) on the creation of a suite of indexes of expected volatility in various segments of the fixed income markets.
He contributed to the development of the S&P/JPX JGB VIX Index.[18]
The Price of Fixed Income Market Volatility (2015). New York: Springer Verlag (Springer Finance Series), 250 pages (with Yoshiki Obayashi).
Stochastic Volatility in Financial Markets (2000). New York: Springer Verlag (original ed.: Kluwer Academic Publishers), 145 pages (with Fabio Fornari).
Dynamiques non linéaires, volatilité et équilibre (1998). Paris: Editions Economica, 212 pages.
Main articles
"Uncertainty, Information Acquisition and Price Swings in Asset Markets" (2015). Review of Economic Studies 82, 1533-1567 (with Francesco Sangiorgi).
"Macroeconomic Determinants of Stock Volatility and Volatility Premiums" (2013). Journal of Monetary Economics 60, 203-220 (with Valentina Corradi e Walter Distaso).
"Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous-Time Models" (2011). Journal of Financial Economics 102, 390-415 (with Dennis Kristensen).
"Information Linkages and Correlated Trading" (2010). Review of Financial Studies 23, 203-246 (with Paolo Colla).
"Simulated Nonparametric Estimation of Dynamic Models" (2009). Review of Economic Studies 76, 413-450 (with Filippo Altissimo).
"Asymmetric Stock Market Volatility and the Cyclical Behavior of Expected Returns" (2007). Journal of Financial Economics 86, 446-478.
"Fundamental Properties of Bond Prices in Models of the Short-Term Rate" (2003). Review of Financial Studies 16, 679-716.
^ abMele, Antonio (2007). "Asymmetric Stock Market Volatility and the Cyclical Behavior of Expected Returns". Journal of Financial Economics. 86 (2): 446–478. doi:10.1016/j.jfineco.2006.10.002. S2CID43374817.
^Corradi, Valentina; Distaso, Walter; Mele, Antonio (2013). "Macroeconomic Determinants of Stock Volatility and Volatility Premiums". Journal of Monetary Economics. 60 (2): 203–220. doi:10.1016/j.jmoneco.2012.10.019. S2CID154767576.
^Fornari, Fabio; Mele, Antonio. "Financial Volatility and Economic Activity". Journal of Financial Management, Markets and Institutions. 1: 155–198.
^Mele, Antonio; Obayashi, Yoshiki (2015). The Price of Fixed Income Market Volatility. New York: Springer Verlag (Springer Finance Series).